Essays about: "unit root test"

Showing result 16 - 20 of 57 essays containing the words unit root test.

1. 16. The European Union’s Technological and Economic Development : A Study on Production of Renewable Energy

   University essay from Umeå universitet/Nationalekonomi

   Author : Ali Abbas; [2018]
   Keywords : ;

   Abstract : This thesis answer the two main questions, firstly, the role of technological development in the production of RE with special reference to investment subsidy in supporting schemes and research and development (R&D). Investment subsidies in supporting schemes and R&D are widely used to promote RE technology and considered economical, efficient instruments than regulation approach. READ MORE

3. 17. Bitcoin and Stock Market Indexes Causality

   University essay from Högskolan i Jönköping/Internationella Handelshögskolan

   Author : Efe Akinci; Jing Li; [2018]
   Keywords : Bitcoin; Stock Markets; Augmented Dickey-Fuller; Cointegration; Granger Causality;

   Abstract : This paper studies Granger Causality relations between Bitcoin and 5 stock market indexes which are Japan, Russia, South Korea, Sweden and the United States. The time-period examined is from 2013 to 2017 and all the tests are conducted based on daily data. READ MORE

4. 18. Size and power of two recent unit root tests that allow for structural breaks

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Marcus Nordström; [2017]
   Keywords : Unit root test; Structural breaks; Multiple trend breaks; Endogenous breaks; Monte Carlo simulations; Business and Economics;

   Abstract : This paper examines the properties of the two recent structural break unit root tests developed in Harvey, Leybourne and Taylor (2013) and Narayan and Popp (2010). The properties are investigated by Monte Carlo simulations in an environment where two trend breaks of small to large magnitudes are present. READ MORE

5. 19. Empirical Research on Value-at-Risk Methods of Chinese Stock Indexes

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Xibei Chen; [2017]
   Keywords : Value at Risk; TGARCH; EGARCH; Student’s t-distribution; GED; Business and Economics;

   Abstract : The Chinese stock market has been established for more than 20 years. Although it is not as mature as the highly developed western securities markets, it has a huge influence on the global economy. It is significant to study the risks of the Chinese stock market, especially the risk of stock indexes. READ MORE

6. 20. Testing for Unit Root Processes for South American Countries

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Stefan Emmoth; Nicklas Nordfors; [2016-02-18]
   Keywords : ;

   Abstract : In this thesis, we aim to test the Purchasing Power Parity (PPP) hypothesis on data from ten di erent South American countries, using di erent statistical methods. We begin by testing the hypothesis using the standard linear tests augmented Dickey-Fuller and Phillips-Perron. READ MORE